VoseAggregateMultiMoments | Vose Software


See also: Vose Aggregate Multivariate Monte Carlo window

=VoseAggregateMultiMoments({Frequency distributions},{Severity distributions},{correlation matrix})




Array function that returns the four first statistical moments (mean, variance, skewness, kurtosis) of the aggregate distribution that is the result of the aggregation of constructed from several pairs of severity/frequency distribution pairs together. Optionally, the correlation between the frequencies can be specified.

  • {Frequency distributions} - an array of discrete distribution objects. Should be an 1xn or nx1 array.

  • {Severity distributions } - an array of severity distribution objects. Should be an 1xn or nx1 array.

  • {correlation matrix} - optional parameter specifying the matrix with correlations between the frequencies. If omitted, no correlation is supposed.

The output is a 4x1 (4x1) array, in which case the numerical values of the moments will be returned, or a 4x2 (2x4) array in which case the numerical values will be returned with labels.



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